Essien joined the Spanish champions on a season-long loan deal from Chelsea and started against Manchester City in the Champions League and Rayo Vallecano in La Liga.
"The coach (Jose Mourinho) does not have a bad opinion of me, it is still clear that I remain a part of the staff of this team," Khedira told AS.
"We've always had four or five defensive midfielders in recent years. This season we Xabi Alonso, Essien and me."
Khedira joined Madrid from Stuttgart in the summer of 2010.